不确定终止时间的多阶段最优投资组合

研究了当终止时间不确定时的多阶段最优投资组合问题.假定终止时间是个服从某分布的随机变量,将不确定终止时间的问题转化为确定时间的问题,应用动态规划求解模型,得到最优投资策略以及有效边界的解析形式.实例证明所得的结论是对确定终止时间情形的推广,最优投资策略受终止时间分布的影响.

Multi-period portfolio optimization when exit time is uncertain

The paper studies a multi_period portfolio optimization problem with uncertain exit time. With the assumption that the exit time is a random variable obeying some distribution this problem of uncertain exit time is translated into a determinate horizon one. Then the classical methods can be used to solve this model. By applying the dynamic programming principle we obtain the optimal investment strategy and the analytical expression of efficient frontier. Through an example we also prove that this paper is ...